An Analysis About The Impact Of Monetary Policy On The Yield Curve Of Bond

This paper focused on the impact of monetary policy on the yield curve ofTreasury bond. Depicted in a chart about the fluctuation of the bond's yield during2003-2006 along with the monetary policy the central bank adopted during this period,the paper first pointed out that monetary policy has affected the yield to maturity ofTreasury bond as a whole. Then, by using the data of yield to maturity of treasurybonds listed in Shanghai Stock Exchange, the paper fits the daily yield curve withinthree specified time period—before the deposit and loan's rate hike, during themonetary policy and after the interest hike. Then the paper tests the significance of thedifference on yield curve's yield to maturity between these three time periods by themeans of one way AVONA and gives the result that the hike of deposit and loan'srates incur a significant change on the bon's yield curve, and the impact is differentfor different terms of yield. Generally, the long-term yield to maturity is much moresensitive to the change of interest rates than that of the short-term.